Ruin probability for the bi-seasonal discrete time risk model with dependent claims
From MaRDI portal
Publication:2326535
Abstract: The discrete time risk model with two seasons and dependent claims is considered. An algorithm is created for computing the values of the ultimate ruin probability. Theoretical results are illustrated with numerical examples.
Recommendations
- Approximation for the ruin probabilities in a discrete time risk model with dependent risks
- Finite-time ruin probabilities for discrete, possibly dependent, claim severities
- On the ruin probability in a dependent discrete time risk model with insurance and financial risks
- Ruin problems for the discrete time insurance risk model with the dependent claim amount
- The ruin probabilities of a discrete-time risk model with dependent insurance and financial risks
- Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
- Ruin probability in the three-seasonal discrete-time risk model
- Ruin Probabilities of Continuous-Time Risk Model with Dependent Claim Sizes and Interarrival Times
- Finite-time ruin probability of a compound dependent discrete-time risk model
- scientific article; zbMATH DE number 2230708
Cites work
- A discrete-time ruin model with dependence between interclaim arrivals and claim sizes
- A review of discrete-time risk models
- An introduction to copulas.
- Asymptotics for the partial sum and its maximum of dependent random variables
- Bi-seasonal discrete time risk model
- Bounds for the Clayton copula
- Computing survival probabilities based on stochastic differential models
- Dependence modeling with copulas
- Explicit finite-time and infinite-time ruin probabilities in the continuous case
- Finite-time ruin probability in the inhomogeneous claim case
- Gerber-Shiu function for the discrete inhomogeneous claim case
- scientific article; zbMATH DE number 2130681 (Why is no real title available?)
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- On a conjecture related to the ruin probability for nonhomogeneous exponentially distributed claims
- On the ruin probability for nonhomogeneous claims and arbitrary inter-claim revenues
- On the Time Value of Ruin
- Recursive calculation of ruin probabilities at or before claim instants for non-identically distributed claims
- Ruin probabilities in the compound binomial model
- Ruin probability in the three-seasonal discrete-time risk model
- Ruin problems for a discrete time risk model with non-homogeneous conditions
- The finite-time ruin probability for an inhomogeneous renewal risk model
Cited in
(8)- Bidimensional discrete-time risk models based on bivariate claim count time series
- Note on the bi-risk discrete time risk model with income rate two
- Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy
- Bi-seasonal discrete time risk model
- Ruin probability in the three-seasonal discrete-time risk model
- On the first time of ruin in two-dimensional discrete time risk model with dependent claim occurrences
- The Gerber-Shiu discounted penalty function for the bi-seasonal discrete time risk model
- Multiseasonal discrete-time risk model revisited
This page was built for publication: Ruin probability for the bi-seasonal discrete time risk model with dependent claims
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2326535)
